Seminars

The Polimi Fintech Series, under the fintech-ho2020.eu and the Cost Fin-AI.eu project, presents March 22nd, 2021 – 17.30 (CET) Virtual room: Click here to access the Zoom Virtual Room, or insert the Meeting id on your Zoom app: 885 3010 212 Valerio Potì (University College Dublin) COVID Narrative Risk: A Computational Linguistic Approach to the Econometric Identification of Narrative Risk During ...

The Polimi Fintech Series, under the fintech-ho2020.eu and the Cost Fin-AI.eu project, presents   February 22nd, 2021 – 17.30 (CET)   Virtual room: Click here to access the Zoom Virtual Room, or insert the Meeting id on your Zoom app: 827 9926 5984   Charalampos Stasinakis – University of Glasgow (with G. Sermpinis) Big Data, Artificial Intelligence and Machine ...

The Polimi Fintech Series, under the fintech-ho2020.eu and the Cost Fin-AI.eu project, presents   January 18th, 2021 – 17.30 (CET)   Virtual room: Click here to access the Zoom Virtual Room, or insert the Meeting id on your Zoom app: 824 7266 9724   M. Azzone (Politecnico di Milano) with E. Barucci, G. Giuffra and D. Marazzina   A ...

The Polimi Fintech Series, under the fintech-ho2020.eu and the Cost Fin-AI.eu project, presents   December 9th, 2020 – 17.30 (CET)   Virtual room: Click here to access the Zoom Virtual Room, or insert the Meeting id on your Zoom app: 826 4084 3401   J. D. Turiel (UCL-ICL, Barclays Investment Bank) with A. Briola and T. Aste   DEEP ...

The Polimi Fintech Series, under the fintech-ho2020.eu and the Cost Fin-AI.eu project, presents   November 9th, 2020 – 17.30 (CET)   Virtual room: Click here to access the Zoom Virtual Room, or insert the Meeting id on your Zoom app: 872 7241 8663    E. Barucci (with M. Bonollo, F. Poli, E. Rroji) A machine learning algorithm for stock picking ...

    Niklas Wagner (Passau University) Give Me a Break: Is the Equity Premium a Trading Break Premium?   May 12, 2020 – 12.30   Abstract This paper addresses the relation between market risk and expected market returns under periodic trading breaks. We propose a model where asset prices are driven by a diffusion process ...

    Pasquale Cirillo (TU Delft) The distortions of finance   May 5, 2020 – 12.30   Abstract Finance is a world of distortions. Many tools we use, many findings we know are actually the result of a distortion. Take the well-known Black-Scholes model: the probability to be in the money at maturity under P ...

Andrea Tarelli – Università Cattolica (Milano) Bail-in vs bail-out: Bank resolution and liability structure (joint work with Luca Leanza and Alessandro Sbuelz) February 18, 2020 – 12.00  Abstract What is the joint impact of different resolution regimes and capital requirements on the optimal liability structure of a bank holding insured deposits and issuing non-bailinable debt ...

Paolo Di Tella – Technische Universitat – Dresden Semistatic and sparse variance-optimal hedging Tuesday February 11, 2020, 10:30 am – “Aula Seminari MOX” VI Floor Abstract We consider the problem of hedging a contingent claim with a “semistatic” strategy composed of a dynamic position in one asset and static (buy?and?hold) positions in other assets. We give ...

Si avvisa che in data 21/1/2020, alle ore 11:00 precise, presso Aula Seminari Terzo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario: Stochastic Optimization with Multiple Time Scales Relatore: Martin Glanzer,  University of Vienna Abstract: Real-world multistage stochastic optimization problems are often characterized by the fact that the decision ...